Securitized Total Return Strategy

We believe Securitized products offer a superior risk/return profile versus competing fixed income assets. Securitized products tend to have complex structures and uncertain cash flows, offering potential for inefficient markets and attractive risk-adjusted returns. Strong front-end due diligence and back-end surveillance processes are necessary to navigate markets and manage risk. Sector complexity fosters a smaller yet sophisticated investor base, resulting in a favorable market dynamic and volatility profile over time. Emphasizing the income component of return and focusing on high spread/shorter spread duration securities supports fundamental investing with a longer-term horizon.

• Emphasize non-index, investment grade securities
• Focus on income component of return
• Emphasize risk premium relative to default risk
• Model securities using proprietary and industry standard resources
• Number of issues: Typically 100-200
• Duration: Typically Benchmark +/- 1.0 years
• Below IG: Typically <5%
• Non-U.S.: Typically <5%